38 citations · 63 across the 14 of their papers we have counts for
16 papers
Minimizing ruin probability under dependencies for insurance pricing
Ragnar Levy Gudmundarson, Manuel Guerra, Alexandra Bugalho de Moura
In this work the ruin probability of the Lundberg risk process is used as a criterion for determining the optimal security loading of premia in the presence of price-sensitive dema…
On the construction of convolution-like operators associated with multidimensional diffusion processes
Rúben Sousa, Manuel Guerra, Semyon Yakubovich
When is it possible to interpret a given Markov process as a Lévy-like process? Since the class of Lévy processes can be defined by the relation between transition probabilities an…
Reinsurance of multiple risks with generic dependence structures
Manuel Guerra, Alexandra B. Moura
We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent…
Product formulas and convolutions for two-dimensional Laplace-Beltrami operators: beyond the trivial case
Rúben Sousa, Manuel Guerra, Semyon Yakubovich
We introduce the notion of a family of convolution operators associated with a given elliptic partial differential operator. Such a convolution structure is shown to exist for a ge…
Sturm-Liouville hypergroups without the compactness axiom
Rúben Sousa, Manuel Guerra, Semyon Yakubovich
We establish a positive product formula for the solutions of the Sturm-Liouville equation , where belongs to a general class which includes singular and degene…
The hyperbolic maximum principle approach to the construction of generalized convolutions
Rúben Sousa, Manuel Guerra, Semyon Yakubovich
We introduce a unified framework for the construction of convolutions and product formulas associated with a general class of regular and singular Sturm-Liouville boundary value pr…